4
H index
1
i10 index
41
Citations
Wenying Yao : Citation Profile
University of Melbourne | RESEARCH PRODUCTION: 13 Articles 9 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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10 years (2012 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Wenying Yao. | Is cited by:
| Cites to:
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Main data
Where Wenying Yao has published?
| Journals with more than one article published | # docs |
|---|---|
| The Economic Record | 2 |
Recent works citing Wenying Yao (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346. Full description at Econpapers || Download paper |
| 2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper |
| 2022 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper |
| 2021 | Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Gao, Jiti ; Dong, Chaohua ; Tu, Yundong. In: Papers. RePEc:arx:papers:2111.02023. Full description at Econpapers || Download paper |
| 2022 | A restricted eigenvalue condition for unit-root non-stationary data. (2022). Wijler, Etienne. In: Papers. RePEc:arx:papers:2208.12990. Full description at Econpapers || Download paper |
| 2022 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper |
| 2021 | Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco M ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1160. Full description at Econpapers || Download paper |
| 2021 | Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco ; Angelini, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921002001. Full description at Econpapers || Download paper |
| 2022 | On LASSO for predictive regression. (2022). Shi, Zhentao ; Gao, Zhan ; Lee, Ji Hyung. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:322-349. Full description at Econpapers || Download paper |
| 2022 | Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19. (2022). Jin, Xiu ; Wang, Haiying ; Yuan, Ying. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s105752192200268x. Full description at Econpapers || Download paper |
| 2021 | How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature. (2021). Arnaut-Berilo, Almira ; Omanovic, Adna ; Zaimovic, Azra. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:551-:d:679488. Full description at Econpapers || Download paper |
| 2022 | Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment. (2022). Jacob, Joshy ; Srivastava, Pranjal. In: IIMA Working Papers. RePEc:iim:iimawp:14685. Full description at Econpapers || Download paper |
| 2021 | Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Tu, Yundong ; Gao, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-18. Full description at Econpapers || Download paper |
| 2021 | Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Chowdhury, Biplob ; Gajurel, Dinesh. In: Applied Economics. RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397. Full description at Econpapers || Download paper |
| 2021 | Generalized Jump Regressions for Local Moments. (2021). Saker, Leonardo Salim ; Li, Jia ; Bollerslev, Tim. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:39:y:2021:i:4:p:1015-1025. Full description at Econpapers || Download paper |
Works by Wenying Yao:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Modelling Financial Contagion Using High Frequency Data In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
| 2020 | Jump Risk in the US Financial Sector In: The Economic Record. [Full Text][Citation analysis] | article | 1 |
| 2018 | News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 0 |
| 2017 | On weak identification in structural VARMA models In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2020 | High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2017 | Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 11 |
| 2021 | Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2022 | The impact of COVID-19 pandemic on the volatility connectedness network of global stock market In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 1 |
| 2019 | Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 4 |
| 2016 | Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2012 | VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Determination of Long?run and Short?run Dynamics in EC?VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2020 | The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2018 | High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | High frequency characterization of Indian banking stocks.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 8 |
| 2014 | Forecasting with EC-VARMA models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Cojump anchoring In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Tests for jumps in yield spreads In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team